The Bruins waited until Monday to waive the 23-year-old, with most teams already set in goal, hoping to sneak him to their Providence affiliate, but the former first-round pick was claimed by Golden Knights general manager George McPhee.
"I had my fingers crossed that it wasn't gonna happen," Sweeney said, according to the Boston Herald. "But that's part of the business, and we wish Malcolm obviously success in the opportunity that he's going to get. But it's a loss for us."
Subban, whose older brother P.K. Subban is an All-Star defenseman with Nashville, was 2-0-0 with a .889 save percentage in 133 minutes of action in the preseason.
The Golden Knights' starter in goal is 33-year-old Marc-Andre Fleury, but they also have 25-year-old Calvin Pickard on the roster. Pickard appeared in 50 games for the NHL-worst Colorado Avalanche last season and led the league in losses with 31. He had a .904 save percentage.
Subban was taken by the Bruins in 2012 with the 24th overall pick. He spent most of his time in the minors, with an 0-2-0 NHL record, and a 56-45-14 record and .918 save percentage in 127 career AHL games for the Providence Bruins.